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Options – Managing an Interest Rate Option Book

Interest rate option traders are required to manage portfolios of options and cope with various risks. They often attempt to optimize a hedging strategy by maximizing liquidity, whilst minimizing transaction costs and basis risk.

 

This course provides an overview of managing an interest rate option book. It explains in detail how delta and vega exposures of an option trade are hedged and looks at the problems in combining exposures associated with different instruments, for example, combining swaption exposures with caps and floors. The course also discusses the problems associated with interest rate option models and provides an overview of the various market participants.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Identify the hedge requirements of interest rate option portfolios

    Hedge the exposures for simple interest rate options

    Identify the key problems relating to interest rate option models

    List the various market participants and outline their roles in the interest rate option market

  • COURSE OUTLINE

    Topic 1: Overview of Interest Rate Option Hedging

    Topic 2: Hedging Interest Rate Option Exposures

    Topic 3: Problems with Interest Rate Option Models

    Topic 4: Market Participants

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    120 Minutes

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